Overview
Glenn D. Rudebusch is a macroeconomist (long at the Federal Reserve Bank of San Francisco, where he served as Director of Research and Executive Vice President; earlier at the Federal Reserve Board), known for monetary-policy analysis, the term structure of interest rates, and applied time-series econometrics.
Key Contributions / Features
- DF power against fractional alternatives (Diebold-Rudebusch 1991): with Diebold, the low power of unit-root tests against fractionally-integrated data.
- Dynamic Nelson-Siegel yield-curve modeling (Diebold-Rudebusch, and Diebold-Rudebusch-Aruoba) linking the term structure to macroeconomic factors.
- Work on monetary-policy rules, the macro-finance of the yield curve, and business-cycle measurement.
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